开放式股票基金业绩的实证研究与评价

应用T-M和H-M的单因素和三因素模型,对我国23只开放式股票型基金2003年10月至2005年7月的业绩进行了实证研究;并就基金的选股、择时能力对模型的敏感性,基金选股、择时能力的相关性进行了检验.结果发现,开放式股票型基金具有较强的选股能力,但却有一定的负的择时能力;基金经理偏向于发掘“超速成长”型公司股票,以期在整个“熊市”背景下,获得超额收益率,实现对投资者业绩的承诺.

An Evaluation and Empirical Study on Performance of Open-ended Stock Funds

The paper employs one factor and three factors model of T-M and H-M to make empirical studies for our country's 23 open-end funds' performances from Oct. 2003 to Jul. 2005. The paper also verifies the sensitivities of fund's security-selecting ability and market-timing ability to models, and the relativity of them. It comes to the conclusion that open-end funds reveal strong security selecting ability, but show a certain extant negative market-timing ability. The managers of funds who want to gain excess return and realize their performance promises to investors, lean to exhume the over-speed pullulating corporation's stock.